A class of solvable stopping games

DOI10.1007/S00245-008-9035-ZMaRDI QIDQ2391240zbMATH OpenOpenAlexFDO

Authors Luis H. R. Alvarez

Publication date 24 July 2009

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL http://www.ace-economics.fi/kuvat/ACE11%20Alvarez.pdf

zbMATH Keywords

fundamental solutionslinear diffusionsDynkin gamesminimal excessive functions

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Games of timing (91A55)

Recommendations

• Dynkin games and martingale methods
• A Nonzero-Sum Extension of Dynkin's Stopping Problem
• Le jeu de dynkin en theorie generale sans l'hypothese de mokobodski
• Dynkin games in a general framework
• Optimal stopping games and Nash equilibrium

Cites work

• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
• scientific article; zbMATH DE number 3736679 (Why is no real title available?)
• scientific article; zbMATH DE number 3296964 (Why is no real title available?)
• A class of solvable impulse control problems
• Bounded Variation Singular Stochastic Control and Dynkin Game
• Continuous-Time Dynkin Games with Mixed Strategies
• Continuous-time games of timing
• Dynkin Games via Dirichlet Forms and Singular Control of One-Dimensional Diffusions
• Game options
• Nonlinear variational inequalities and differential games with stopping times
• Nonzero-Sum Stochastic Differential Games With Stopping Times and Free Boundary Problems
• On the optimal stopping problem for one-dimensional diffusions.
• On the value of optimal stopping games
• Optimal Stopping Games for Markov Processes
• Optimal Stopping of One-Dimensional Diffusions
• Properties of game options
• Regularity theorems for variational inequalities in unbounded domains and applications to stopping time problems
• Reward functionals, salvage values, and optimal stopping
• Some calculations for Israeli options
• Stochastic Forest Stand Value and Optimal Timber Harvesting
• Stochastic games and variational inequalities
• The Value of Zero-Sum Stopping Games in Continuous Time

Cited in

(17)

• Optimal decision under ambiguity for diffusion processes
• Optimal stopping of one-dimensional diffusions with integral criteria
• A note on optimal stopping of diffusions with a two-sided optimal rule
• An application of Ramsey theorem to stopping games.
• Dynkin games with heterogeneous beliefs
• PERPETUAL CANCELLABLE AMERICAN CALL OPTION
• Stopping games with randomized strategies
• On solvability of a two-sided singular control problem
• Preemption games under Lévy uncertainty
• On some kind of Dynkin's stopping game
• Nash equilibria of threshold type for two-player nonzero-sum games of stopping
• Crowding games are sequentially solvable
• Dynkin's games and Israeli options
• Minimum guaranteed payments and costly cancellation rights: a stopping game perspective
• A Singular Stochastic Control Problem with Interconnected Dynamics
• A zero-sum Poisson stopping game with asymmetric signal rates
• A Dynkin game with asymmetric information

This page was built for publication: A class of solvable stopping games

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2391240)